By Toni Weeks
San Diego, March 12 - JPMorgan Chase & Co. priced $1.57 million of 0% return notes due March 13, 2014 linked to the J.P. Morgan Contag Conditional Light Energy Excess Return index, according to a 424B2 filing with the Securities and Exchange Commission.
The index reflects a synthetic long exposure to the J.P. Morgan Contag Beta Light Energy Excess Return index and, if the conditional long-short signal is long-short, to a synthetic short exposure to the S&P GSCI Light Energy Index Excess Return. These two underlying indexes are referred to as the "long constituent" and the "short constituent," respectively.
An adjustment factor of 0.96% per year is calculated and deducted daily from the level of the index.
On each monthly rebalancing date, the conditional long-short signal will be long-only, and the index will provide exposure to the long constituent but not the short constituent if (a) the performance of the equally weighted basket over the 12 months prior to the observation date is positive and (b) the positive performance meets an algorithmic performance consistency test that gives greater weight to more recent performance. In all other cases, the conditional long-short signal will be long-short, and the index will provide exposure to both constituents.
The equally weighted basket contains 24 S&P GSCI single-commodity subindexes corresponding to the 24 commodities included in the S&P GSCI Index Excess Return as of January 2009.
If the index closes at or above the index strike level, the payout at maturity will be par plus the index return.
If the final index level is less than the index strike level, investors will be exposed to losses.
J.P. Morgan Securities LLC is the agent.
Issuer: | JPMorgan Chase & Co.
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Issue: | Return notes
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Underlying index: | J.P. Morgan Contag Conditional Light Energy Excess Return
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Amount: | $1,573,000
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Maturity: | March 13, 2014
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | If the index closes at or above the index strike level, par plus index return; otherwise exposure to losses
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Initial strike level: | 404.1164
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Pricing date: | March 8
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Settlement date: | March 13
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Agent: | J.P. Morgan Securities LLC
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Fees: | 1.1%, including 0.25% for selling concessions
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Cusip: | 48125VQL7
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